(1) Background: Energy intake (EI) underreporting is a widespread problem of great relevance to public health, yet is poorly described among pregnant women. This study aimed to describe and predict error in self-reported EI across pregnancy among women with overweight or obesity. (2) Methods: Participants were from the Healthy Mom Zone study, an adaptive intervention to regulate gestational weight gain (GWG) tested in a feasibility RCT and followed women (n = 21) with body mass index (BMI) ≥25 from 8–12 weeks to ~36 weeks gestation. Mobile health technology was used to measure daily weight (Wi-Fi Smart Scale), physical activity (activity monitor), and self-reported EI (MyFitnessPal App). Estimated EI was back-calculated daily from measured weight and physical activity data. Associations between underreporting and gestational age, demographics, pre-pregnancy BMI, GWG, perceived stress, and eating behaviors were tested. (3) Results: On average, women were 30.7 years old and primiparous (62%); reporting error was −38% ± 26 (range: −134% (underreporting) to 97% (overreporting)), representing an ~1134 kcal daily underestimation of EI (1404 observations). Estimated (back-calculated), but not self-reported, EI increased across gestation (p < 0.0001). Higher pre-pregnancy BMI (p = 0.01) and weekly GWG (p = 0.0007) was associated with greater underreporting. Underreporting was lower when participants reported higher stress (p = 0.02) and emotional eating (p < 0.0001) compared with their own average. (4) Conclusions: These findings suggest systemic underreporting in pregnant women with elevated BMI using a popular mobile app to monitor diet. Advances in technology that allow estimation of EI from weight and physical activity data may provide more accurate dietary self-monitoring during pregnancy.